Stochastic regression model with dependent disturbances

DOI10.1111/1467-9892.00218MaRDI QIDQ2740103zbMATH OpenOpenAlexFDO

Authors Kokyo Choy, Masanobu Taniguchi

Publication date 16 September 2001

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00218

zbMATH Keywords

best linear unbiased estimatorsleast squares estimatorslong- memory processesratio estimatorsshort-memory processesspectral densitystationary linear processesstochastic regression models

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

The authors consider the stochastic regression model NEWLINE\[NEWLINEy_t=\beta x_t+u_t,\;t=1,2,...,NEWLINE\]NEWLINE where both the regressor \(\{x_t\}\) and the unobservable error \(\{u_t\}\) are stochastic processes, and \(\beta\) is an unknown parameter. Various cases where \(\{x_t\}\) and \(\{u_t\}\) are short or long memory dependent are considered. The asymptotic theory for estimators of the parameter \(\beta\) is derived. Numerical studies are given.

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Cited in

(5)

• Semiparametric analysis of long-range dependence in nonlinear regression
• Asymptotic behaviour of the LS estimator in a nonlinear model with long memory
• Regression Analysis with a Stochastic Design Variable
• Semiparametric sieve-type generalized least squares inference
• Statistical estimation for CAPM with long-memory dependence

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